Tweekusmaximus, the D3BFGConfig.cfg file you are looking for will not be created until you have been able to access the game at least once. I have found a shortcut tweak that seems to be working for most people that will allow you to run the game in fullscreen mode immediately and bypass the CFG edit altogether. I'll list it here for you from my own thread:

NOTE:Try the "3" setting off the bat. Other Steam users have told me it works perfectly.

"Good news for those of you who are unable to access the game in windowed mode. I have found a way to force windowed mode through via making a desktop shortcut. As a matter of fact, this fix might allow you to fix the issue immediately and bypass the CFG file editing entirely. Just follow the following directions:

2. Right click on the file executable DOOM3BFG.EXE and create a shortcut to desktop. On Windows 7 it would be under right click, SEND TO, and then DESKTOP (CREATE SHORTCUT).

3. Once you have created a shortcut on your desktop, right click on it and choose PROPERTIES. In the target field, add "+set r_fullscreen 0" to the end of the target path (no quotes). There should be a space right before the +. Your target line should now look similiar to the following:

4. This trick worked on the old Doom 3 and luckily it still works with the BFG edition. Theoretically you should be able to change the "0" in the fullscreen command I just mentioned to a "3", and bypass all the CFG editing altogether though I haven't tested that. I don't see why it shouldn't work though. At the very least, with the "0" it will allow you to run it in windowed mode and make the fixes listed above. Hope this works for those of you unable to run the game to create a Saved Games directory."

try this.... probably your laptop or pc is only using the integrate video card instead of the one you have specially for games and such.... http://www.mytoshiba.com.au/support/items/faq/669 see this link and try... even if your laptop or pc is not toshiba like mine this could help